标题: Zspread Vs. Nominal Spread [打印本页] 作者: vagabond 时间: 2011-7-11 18:28 标题: Zspread Vs. Nominal Spread
Hi everyone,
I'm getting those two confused. I completely understand the Option adjusted spread but I keep confusing the Zero volatiliy spread and the nominal spread.
Any pointers?
Thx作者: dotamasta 时间: 2011-7-11 18:28
the z spread is the constant spread off of any point on the spot rate curve
the nominal spread is the spread off any ONE point on the treasury yield curve
